Aligned Rank Tests for the Linear Model with Heteroscedastic Errors

摘要

The authors consider the problem of testing subhypotheses in a heteroscedastic linear regression model. The proposed test statistics are based on the ranks of scaled residuals obtained under the null hypothesis. Any estimator that is n(sup 1/2)-consistent under the null hypothesis can be used to form the residuals. The error variances are estimated through a parametric model. This extends the theory of aligned rank tests to the heteroscedastic linear model.